How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0879	13.87***
β GARCH Volatility persistence	0.9164	402.66***
γ leverage Additional response to negative shocks	-0.0879	-7.38***
λ₁ tau intercept Baseline long-term coefficient	0.0456	49.82***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9967	1,969.85***

V-Lab

Cellavision AB ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cellavision AB Analyses